Spurious Inference in the GARCH (1,1) Model When It Is Weakly Identified
From MaRDI portal
Publication:5452763
DOI10.2202/1558-3708.1434zbMath1260.91186OpenAlexW3121375642MaRDI QIDQ5452763
Charles R. Nelson, Jun Ma, Richard Startz
Publication date: 4 April 2008
Published in: Studies in Nonlinear Dynamics & Econometrics (Search for Journal in Brave)
Full work available at URL: http://hdl.handle.net/1773/15537
Related Items (6)
Finite-sample bootstrap inference in GARCH models with heavy-tailed innovations ⋮ Calibration of GARCH models using concurrent accelerated random search ⋮ Flexible Fourier form for volatility breaks ⋮ Examining the success of the central banks in inflation targeting countries: the dynamics of the inflation gap and institutional characteristics ⋮ Modelling nonlinearities in equity returns: the mean impact curve analysis ⋮ Efficient estimation of copula-GARCH models
This page was built for publication: Spurious Inference in the GARCH (1,1) Model When It Is Weakly Identified